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Spot contract

About: Spot contract is a research topic. Over the lifetime, 3437 publications have been published within this topic receiving 91599 citations.


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TL;DR: In this article, the impact of Nifty index futures on the volatility of the Indian spot markets by use of econometric models was investigated, and the results imply that futures markets serve their prescribed role of improving pricing efficiency and improve the quality of information flowing to spot markets.
Abstract: Purpose – The paper aims to study the impact of the introduction of Nifty index futures on the volatility of the Indian spot markets by use of econometric models.Design/methodology/approach – The study considered six measures of volatility, the dynamic linear regression model, and the GARCH models to investigate volatility in National Stock Exchange (NSE) Nifty prices both before and after the onset of futures trading.Findings – The GARCH analysis confirmed no structural change after the introduction of futures trading on Nifty, and found that whilst the pre‐futures sample was integrated, the post‐futures sample was stationary. Spot returns volatility is found to be less important in explaining spot returns after the advent of futures trading in NSE Nifty.Practical implications – The results imply that futures markets serve their prescribed role of improving pricing efficiency and improve the quality of information flowing to spot markets. This will enable investors to prudently structure their strategies...

25 citations

Journal ArticleDOI
TL;DR: In this paper, the authors consider the optimal central banker contract derived in 1995 and show that if the government's objective function places weight (value) on the cost of the contract, then the optimal inflation contract does not completely neutralize the inflation bias.
Abstract: We reconsider the optimal central banker contract derived in Walsh (1995). We show that if the government's objective function places weight (value) on the cost of the contract, then the optimal inflation contract does not completely neutralize the inflation bias. That is, a fraction of the inflation bias emerges in the resulting inflation rate after the central banker's monetary policy decision. Furthermore, the more concerned the government is about the cost of the contract or the less selfish (more benevolent) is the central banker, the smaller is the share of the inflation bias eliminated by the contract. No matter how concerned the government is about the cost of the contract or how unselfish (benevolent) the central banker is, the contract always reduces the inflationary bias by at least half. Finally, a central banker contract written in terms of output (i.e., incorporating an output target) can completely eradicate the inflationary bias, regardless of concerns about contract costs.

25 citations

Journal ArticleDOI
TL;DR: In this article, an Arbitrage Pricing Theory model is estimated in this paper and the results appear inconsistent with the Keynes-Hicks hypothesis, with different models implying different conclusions, as shown in this article, these models are all special cases of a general linear model.
Abstract: Keynes (1923) and Hicks (1939), hypothesized that futures prices are downward biased estimates of expected spot prices. Any empirical study that employs returns on futures contracts is actually a joint test of both the Keynes-Hicks hypothesis and of the assumed model of returns. Models based on the Capital Asset Pricing Model have been used to test the hypothesis, with different models implying different conclusions. As shown in this article, these models are all special cases of a general linear model. Arbitrage Pricing Theory provides the most powerful test for this class of linear models. No other linear model will provide greater explanatory power or account for more systematic risk. An Arbitrage Pricing Theory model is estimated in this article and the results appear inconsistent with the Keynes-Hicks hypothesis.

25 citations

Journal ArticleDOI
TL;DR: In this article, the authors argue that there is too much uncertainty regarding how consumers and suppliers will respond to spot price signals and that policymakers should encourage demand-side experiments and investments to ensure that, when prices rise, customers will be able to respond.

25 citations

Journal ArticleDOI
TL;DR: In this article, the current state of market integration among European electricity day-ahead spot prices is investigated and a large sample of hourly spot prices of 25 European markets for the period 2010Jan01/01h-2015Jun30/24h is used.
Abstract: This paper investigates the current state of market integration among European electricity day-ahead spot prices. In our empirical analysis we utilize a large sample of hourly spot prices of 25 European markets for the period 2010Jan01/01h– 2015Jun30/24h and combine it with other relevant data such as hourly interconnector capacities and the existence of market coupling. Firstly, empirical results from cointegration analysis indicate that market integration increased from 2010 to 2012 but then declined until 2015, despite the introduction of market coupling in many markets. Secondly, we empirically assess error correction after price shocks and reach the conclusion that markets’ strength of the error correction mechanism is rather modest. In general, our findings suggest that the integration among European electricity markets has a large potential for improvements from additional capacity investments and further promotion of market coupling.

25 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
20241
202376
2022205
2021111
2020115
2019106